Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0345 |
| Annualized Std Dev | 0.2926 |
| Annualized Sharpe (Rf=0%) | 0.1180 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.2014 |
| Quartile 1 | -0.0084 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0096 |
| Maximum | 0.1647 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0003 |
| Stdev | 0.0184 |
| Skewness | -0.2522 |
| Kurtosis | 11.9456 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0133 |
| Gain Deviation | 0.0129 |
| Loss Deviation | 0.0140 |
| Downside Deviation (MAR=210%) | 0.0177 |
| Downside Deviation (Rf=0%) | 0.0131 |
| Downside Deviation (0%) | 0.0131 |
| Maximum Drawdown | 0.7673 |
| Historical VaR (95%) | -0.0280 |
| Historical ES (95%) | -0.0427 |
| Modified VaR (95%) | -0.0269 |
| Modified ES (95%) | -0.0402 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2014-06-24 | 2020-03-23 | NA | -0.7673 | 1698 | 1447 | NA |
| 2008-05-21 | 2009-03-02 | 2014-04-03 | -0.5783 | 1478 | 196 | 1282 |
| 2001-05-21 | 2002-07-23 | 2004-09-21 | -0.4291 | 837 | 292 | 545 |
| 1999-09-10 | 2000-02-25 | 2000-05-08 | -0.1763 | 167 | 117 | 50 |
| 2007-12-27 | 2008-01-22 | 2008-04-16 | -0.1688 | 76 | 17 | 59 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | -1 | -1 | -0.1 | -1.7 | -0.6 | 0.8 | 2.1 | -0.3 | -0.3 | -0.1 | 2 | 0.3 | 0.1 |
| 2000 | -0.2 | 2.5 | -0.5 | 1.6 | -0.9 | -1.3 | 1.9 | 1 | 0.1 | 3.2 | 2.2 | -2 | 7.7 |
| 2001 | -1.3 | 1.1 | 2.3 | -0.6 | -0.4 | 1.3 | -0.4 | 0 | -1.4 | 1.5 | -0.5 | -1.1 | 0.5 |
| 2002 | 0.5 | 1.4 | 0.7 | 0.6 | 1.4 | -1 | -5.9 | 0.7 | 3.2 | 2.6 | 1.2 | 0.2 | 5.6 |
| 2003 | 2 | 0.8 | 1.9 | 0.5 | 1.7 | -0.1 | -0.3 | 0.1 | 1.5 | 1.5 | 1 | -0.7 | 10.4 |
| 2004 | -0.9 | 1.9 | -1.2 | 0.4 | 1.4 | 0.1 | 0.4 | 1.8 | 1.4 | -0.6 | -2.4 | 0.2 | 2.4 |
| 2005 | 1.7 | -1.9 | 2.5 | 1.3 | 1.9 | 2.2 | 1.1 | 2.6 | -1.6 | 0.6 | 3.2 | 0.4 | 14.7 |
| 2006 | -2.4 | 1.7 | -1.4 | 1.6 | 0.3 | 0.3 | 0.1 | 1.5 | 0.4 | -1 | 0.3 | -1 | 0.4 |
| 2007 | 0.4 | -0.3 | -1.4 | 0.4 | 0.9 | 0.3 | -0.3 | 1.3 | 1.7 | -2.9 | 0.3 | -1.3 | -0.8 |
| 2008 | 2.5 | -3.3 | 1.9 | -2.2 | 1 | 0.4 | 0 | -0.5 | -1.6 | 2.1 | -10.6 | 1.1 | -9.6 |
| 2009 | -1.4 | -2.4 | 2.1 | 3.2 | 3.7 | 0.1 | 1 | -1.7 | -3.1 | -3.8 | 1.3 | -0.8 | -2.1 |
| 2010 | 3.3 | 0.9 | 1.8 | -1.2 | -4.8 | -0.4 | -0.2 | 3.7 | 1.3 | 0.1 | 3 | 0.1 | 7.7 |
| 2011 | 1.6 | -1.9 | 0.3 | 1.5 | -2.4 | 0.9 | -0.1 | -0.8 | -2.9 | -3.2 | -0.6 | 0 | -7.4 |
| 2012 | 0.4 | 1 | 0.8 | 1.4 | -2.5 | 3 | 0.5 | 1 | 0.5 | 0.4 | -0.1 | 2.3 | 9 |
| 2013 | 0.9 | 0.1 | -0.2 | -1.6 | -2.1 | 0.7 | 1.6 | 0 | 0.6 | -0.4 | -0.2 | 1 | 0.5 |
| 2014 | -1.3 | 0.5 | 0.6 | -0.2 | -0.1 | 0.1 | -0.8 | 0.6 | -2 | 2 | 0.4 | -0.8 | -1.1 |
| 2015 | 0.9 | -0.4 | 0 | 0.2 | -0.3 | -1.3 | -2.2 | -3.5 | 0.2 | 0.7 | 0.8 | 0.4 | -4.5 |
| 2016 | -1.7 | 2.6 | -1.3 | -0.2 | 0 | 0.5 | -3.3 | -0.3 | 1.4 | 0 | 0.2 | -0.3 | -2.4 |
| 2017 | -0.7 | 2 | -0.3 | -0.3 | 0.6 | 0.4 | 0 | 1 | 0 | 1.1 | 0.8 | -0.3 | 4.4 |
| 2018 | 1 | -0.1 | 2.1 | -0.6 | 0.5 | 0.6 | -1.4 | -0.8 | 1.4 | 0.8 | -0.2 | 0.5 | 3.9 |
| 2019 | 1.7 | 1.8 | 1.3 | -2 | -1.8 | 0.1 | -2.3 | 0 | -2.3 | 2.3 | -1 | 0.6 | -1.7 |
| 2020 | -3.1 | -0.1 | -5 | -5.7 | 1.8 | -2.4 | -0.5 | -0.7 | -3.1 | 0.6 | 0.5 | -0.8 | -17.3 |
| 2021 | 0.7 | 2.6 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.3 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
